Form a cup in each cucumber slice by using a melon baller to scoop a 1/2-inch-deep depression from one side. Place cucumbers, scooped-sides down, onto paper towels to drain for 15 minutes.
Mix cream cheese, chopped dill, lemon zest, lemon juice, and pepper in a bowl until well combined.
Spoon about 1/2 teaspoon cheese mixture into each cucumber cup. Top each cup with a salmon strip and a dill sprig.